Course Agenda

Agenda

Capital Requirements: CRD IV to CRD V and Basel IV

Day 1

Wednesday 20th June 2018

Day one delivered by Patricia White, Independent Consultant and author, mentor and tutor for ALMA's Certificate in Bank ALM (CertBALM) qualification.

08:30

Registration and refreshments

09:00

Capital requirements under CRD IV, reporting requirements and governance

  • Capital adequacy requirements
  • Large exposures 
  • Capital increases required by Basel III 
  • Transparency
  • Remuneration

10:30

Morning break

11:00

Capital buffers and balance sheet resolution 

  • Capital conservation and counter-cyclical buffer
  • Risk weighted assets
  • Systemic risk buffer
  • TLAC requirements, HoldCo Vs OpCo
  • Who has to comply with TLAC on each subsidiary level?
  • Resolution planning
  • Contractual, statutory and structural subordination 

12:30

Lunch

13:30

Liquidity and leverage requirements

  • How to make the business more resilient
  • NSFR – Assessment of funding risk across the balance sheet 
  • Liquidity coverage ratio
  • Liquidity stress testing
  • Meeting leverage ratio requirements 

15:00

Afternoon break

15:30

Interest rate risk in the banking book  

  • Basel proposals
  • CRD V
  • ECB stress test results 
  • EBA guidelines 
  • Good practice so far

Looking forward to Basel IV

  • Pillar 1 requirements
  • Output floor

17:00

End of day one

Day 2

Thursday 21st June 2018

08:30

Refreshments

09:00

FRTB and CRR 2 / CRD V

  • FRTB under the current CRD IV framework 
  • The new framework under FRTB  
  • Rationale behind the development of FRTB  
  • Concerns on the framework and the latest set of guidelines  
  • Implementation challenges of FRTB
  • Implementation of FRTB in CRR2

Andrea Schnoz, Director, Risk and Regulatory Services, PwC

10:30

Morning break

11:00

Counterparty credit risk 

  • OTC derivatives
  • CCP exposures
  • Capital requirements for derivatives
  • FRTB in relation to counterparty credit risk
  • EMIR margin rules
  • SA – CCR methodology 

Nicolas Decouttere - Structuring - FIG ALM & Regulations, Barclays

12:00

Basel IV - A credit models perspective 

  • Change in definition of default
  • Developing new capital models
  • Impact on IFRS 9 and stress testing
  • IRB modelling constraints
  • IRB vs standardised RWA/ capital impact

Gaurav Chawla, Independent Consultant

12:30

Lunch

13:30

Stress testing capital

  • What do the latest PRA and EBA stress tests results mean?
  • Scenario analysis
  • Capital adequacy in various crisis scenarios 
  • Reverse stress testing

Cecilia Gejke, Group Market and Counterparty Credit Risk, Former Nordea 

15:00

Afternoon break

15:30

Operational risk capital modelling under CRD IV

  • Rules for operational risk capital modeling
  • Basic indicator approach (BIA) and the standardised approach (TSA)
  • The advanced measurement approach (AMA) and the loss distribution approach with examples
  • The standardised measurement approach (SMA) and related issues and debates 
  • Contradictory incentives across the BIA, TSA, AMA and the SMA

Ruben Cohen, Independent Consultant

17:00

End of course